Strategy Zoo / S1331
PriceMomentum_V1331
ARCHIVEDhybridllmSimplified and de-duplicated entry logic; added momentum (macd_hist>0) and milder cumulative-return floor to avoid entering during extended losses; introduced regime gates to restrict to UPTREND + non-HIGH volatility + NORMAL bubble; implemented volatility-based position sizing (larger size in low vol, reduced in high vol) and reduced base position to lower drawdown; strengthened exit rules to include a larger fixed stop (ret_20d<-4%), trend/momentum breakdown exit (macd_hist<0 AND sma_50_slope<0), and a drawdown stop to limit tail losses.
Fitness
0.1355
Generation
61
Complexity
18
Created
2026-10-08
Lineage
Parents (1)
entry from PriceMomentum_V1129, exit from LongTermTrend_V1154
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1331 [hybrid]
require regime.trend in ['UPTREND']
require regime.volatility in ['LOW_VOLATILITY', 'MEDIUM_VOLATILITY']
require regime.bubble in ['NORMAL']
if flat and (((close > sma_50 and sma_50_slope > 0.0) or ret_20d > 0.08) and macd_hist > 0.0 and cumret_252d > -0.15 and vol_pctile < 0.85):
position = 0.6
if long and (ret_20d < -0.04 or (macd_hist < 0.0 and sma_50_slope < 0.0) or drawdown < -0.12):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 0.0% | 0.6% | 5.9% | 1.6% |
| Total Return | 0.2% | 1.8% | 24.0% | 26.5% |
| Sharpe | 0.04 | 0.11 | 0.86 | 0.25 |
| Sortino | 0.02 | 0.05 | 0.44 | 0.11 |
| Calmar | 0.00 | 0.02 | 0.74 | 0.07 |
| Volatility | 7.6% | 8.8% | 7.0% | 7.7% |
| Max DD | -15.7% | -24.5% | -8.0% | -24.5% |
| Win Rate | 42.2% | 41.7% | 63.0% | 47.9% |
| Avg Win | 1.7% | 2.4% | 2.0% | 2.0% |
| Avg Loss | -1.2% | -1.5% | -1.2% | -1.3% |
| Payoff | 1.42 | 1.65 | 1.64 | 1.55 |
| Expectancy | 0.0% | 0.2% | 0.8% | 0.3% |
| Profit Factor | 1.04 | 1.18 | 2.78 | 1.43 |
| Trades | 45 | 24 | 27 | 96 |
| Avg Holding Days | 4.9 | 3.2 | 2.8 | 3.9 |
| Turnover | 6.8 | 9.6 | 8.6 | 7.8 |
| Exposure | 5.2% | 4.2% | 3.1% | 4.4% |
Growth of $100
PriceMomentum_V1331 vs TSLA Buy & Hold
PriceMomentum_V1331 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -1.2% | -0.25 | -5.3% | 8 |
| 2017 | 2.8% | 0.59 | -3.3% | 13 |
| 2018 | -8.3% | -1.79 | -8.3% | 2 |
| 2019 | 2.8% | 0.72 | -0.9% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 19.2% | 1.36 | -11.6% | 15 |
| 2022 | -14.7% | -2.35 | -14.6% | 9 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 278 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 25.3% | 2.44 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 4.1% | 0.95 | 0% |
| hidden test | LOW VOLATILITY | 440 | 4.4% | 0.56 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | 10.7% | 1.40 | 3% |
| hidden test | NORMAL | 813 | 4.4% | 0.65 | 3% |
| hidden test | SIDEWAYS | 295 | -1.0% | -1.16 | 0% |
| hidden test | UPTREND | 371 | 16.0% | 1.45 | 8% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 7.0% | 1.69 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 3.4% | 0.59 | 0% |
| train | LOW VOLATILITY | 745 | 5.3% | 0.58 | 11% |
| train | MEDIUM VOLATILITY | 568 | -10.0% | -1.34 | 4% |
| train | NORMAL | 1,601 | -1.0% | -0.12 | 6% |
| train | SIDEWAYS | 592 | -2.5% | -1.06 | 1% |
| train | UPTREND | 902 | 2.3% | 0.21 | 11% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -7.1% | -1.00 | 0% |
| validation | LOW VOLATILITY | 183 | 11.2% | 1.69 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 1.7% | 0.15 | 3% |
| validation | NORMAL | 474 | 1.6% | 0.14 | 7% |
| validation | SIDEWAYS | 206 | -8.2% | -1.57 | 1% |
| validation | UPTREND | 425 | 5.7% | 0.51 | 7% |
Trades (full period)
96 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.55% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -0.98% | 2 | |
| 2025-12-04 | 2026-01-07 | $454.53 | $431.41 | -1.82% | 23 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 4.29% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -0.93% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.04% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.33% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -0.77% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 4.04% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.03% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.13% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.53% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.84% | 2 | |
| 2024-09-19 | 2024-09-20 | $243.92 | $238.25 | 4.29% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 2.82% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.09% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.22% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 3.80% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -1.38% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -3.75% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.07% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 3.08% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.33% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 2.01% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 2.32% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 0.76% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 0.90% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -1.66% | 2 | |
| 2022-09-19 | 2022-09-20 | $309.07 | $308.73 | 1.01% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.11% | 2 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -2.54% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.34% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.65% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.10% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -1.92% | 2 | |
| 2022-04-05 | 2022-04-07 | $363.75 | $352.42 | -5.38% | 3 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -0.99% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.42% | 2 | |
| 2021-10-04 | 2021-11-10 | $260.51 | $355.98 | 18.69% | 28 | |
| 2021-09-28 | 2021-10-01 | $259.19 | $258.41 | -1.32% | 4 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.08% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 0.79% | 2 | |
| 2021-09-13 | 2021-09-14 | $247.67 | $248.16 | 0.43% | 2 | |
| 2021-09-09 | 2021-09-10 | $251.62 | $245.42 | -0.04% | 2 | |
| 2021-09-07 | 2021-09-08 | $250.97 | $251.29 | 1.46% | 2 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.26% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.27% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.54% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.30% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.14% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.19% | 2 | |
| 2019-12-16 | 2019-12-17 | $25.43 | $25.27 | 3.75% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.93% | 2 | |
| 2018-12-11 | 2018-12-19 | $24.45 | $22.20 | -4.75% | 7 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -3.73% | 4 | |
| 2017-10-18 | 2017-10-20 | $23.98 | $23.01 | -0.78% | 3 | |
| 2017-10-16 | 2017-10-17 | $23.37 | $23.72 | -0.96% | 2 | |
| 2017-10-12 | 2017-10-13 | $23.71 | $23.70 | 0.06% | 2 | |
| 2017-03-24 | 2017-03-28 | $17.54 | $18.50 | 3.49% | 3 | |
| 2017-03-20 | 2017-03-22 | $17.46 | $17.00 | -2.60% | 3 | |
| 2017-01-31 | 2017-02-02 | $16.80 | $16.77 | -0.45% | 3 | |
| 2017-01-24 | 2017-01-25 | $16.97 | $16.96 | 1.25% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.12% | 2 | |
| 2017-01-18 | 2017-01-19 | $15.89 | $16.25 | 0.59% | 2 | |
| 2017-01-13 | 2017-01-17 | $15.85 | $15.71 | 2.01% | 2 | |
| 2017-01-11 | 2017-01-12 | $15.32 | $15.31 | -0.16% | 2 | |
| 2017-01-09 | 2017-01-10 | $15.42 | $15.32 | 0.47% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.18% | 2 | |
| 2016-08-05 | 2016-08-08 | $15.34 | $15.08 | -0.27% | 2 | |
| 2016-08-03 | 2016-08-04 | $15.05 | $15.37 | -0.49% | 2 | |
| 2016-08-01 | 2016-08-02 | $15.33 | $15.15 | -1.34% | 2 | |
| 2016-07-28 | 2016-07-29 | $15.37 | $15.65 | 0.44% | 2 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.25% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 0.70% | 2 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -0.62% | 2 | |
| 2016-04-05 | 2016-04-11 | $17.03 | $16.66 | 0.68% | 5 | |
| 2015-06-22 | 2015-07-28 | $17.32 | $17.65 | -2.12% | 26 | |
| 2015-05-21 | 2015-05-22 | $16.37 | $16.52 | 0.19% | 2 | |
| 2015-05-19 | 2015-05-20 | $16.48 | $16.29 | -0.51% | 2 | |
| 2015-05-15 | 2015-05-18 | $16.59 | $16.58 | 1.04% | 2 | |
| 2015-05-13 | 2015-05-14 | $16.21 | $16.27 | -0.50% | 2 | |
| 2015-05-11 | 2015-05-12 | $15.97 | $16.32 | 0.61% | 2 | |
| 2015-04-29 | 2015-04-30 | $15.50 | $15.07 | 0.39% | 2 | |
| 2014-10-08 | 2014-10-09 | $17.29 | $17.13 | -0.19% | 2 | |
| 2014-08-04 | 2014-09-23 | $15.90 | $16.69 | 4.41% | 36 | |
| 2014-07-31 | 2014-08-01 | $14.89 | $15.55 | -1.59% | 2 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -1.88% | 11 | |
| 2013-03-27 | 2013-04-02 | $2.54 | $2.96 | 9.49% | 4 | |
| 2013-03-08 | 2013-03-15 | $2.56 | $2.35 | -2.26% | 6 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.07% | 3 | |
| 2013-01-23 | 2013-01-24 | $2.40 | $2.47 | 1.26% | 2 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.61% | 12 | |
| 2012-11-27 | 2012-11-28 | $2.14 | $2.22 | -0.34% | 2 | |
| 2012-11-23 | 2012-11-26 | $2.14 | $2.15 | -0.75% | 2 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -1.69% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -0.93% | 2 |